Solved it.
Download and unzip ePSXeCutor v1.0.6.0 into the ePSXe folder:
http://www.epsxe.com/download.php
Open ePSXeCutor > Configurations > New Configurations > For Name of Configuration, put: Codename Tenka.
Then click Configure ePSXe > Options > For Command line: put -nomemcard.
Then configure BIOS.
And activate a video, sound, and cdrom plugin.
And finally, enable Sound and CDrom settings.
For Sound, you should enable Sound, MDEC XA, and CDDA.
I would also enable Start ePSXe GUI.
Then double=click the Codename Tenka configuration icon to start ePSXe, then load and play the game.